Overall Statistics
Total Trades
5
Average Win
7.96%
Average Loss
-11.27%
Compounding Annual Return
-1.575%
Drawdown
38.400%
Expectancy
-0.147
Net Profit
-28.655%
Sharpe Ratio
-0.206
Probabilistic Sharpe Ratio
0.000%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.71
Alpha
0
Beta
-0.16
Annual Standard Deviation
0.047
Annual Variance
0.002
Information Ratio
-0.385
Tracking Error
0.191
Treynor Ratio
0.061
Total Fees
$12.33
Estimated Strategy Capacity
$130000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
 
from AlgorithmImports import *

class USTreasuryDataAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2000, 3, 1)
        self.SetEndDate(2021, 6, 1)
        self.SetCash(100000)

        self.spy_symbol = self.AddEquity("SPY", Resolution.Hour).Symbol

        # Requesting data
        self.yield_curve_symbol = self.AddData(USTreasuryYieldCurveRate, "USTYCR").Symbol

        # Historical data
        history = self.History(USTreasuryYieldCurveRate, self.yield_curve_symbol, 60, Resolution.Daily)
        self.Debug(f"We got {len(history)} items from our history request")
        
        self.last_inversion = datetime.min

    def OnData(self, data):
        if not data.ContainsKey(self.yield_curve_symbol):
            return
        
        rates = data[self.yield_curve_symbol]
        
        # Check for null before using the values
        if not (rates.TenYear is not None and rates.TwoYear is not None):
            return
        
        # Only advance if a year has gone by
        if (self.Time - self.last_inversion < timedelta(days=365)):
            return
        
        # if there is a yield curve inversion after not having one for a year, short sell SPY for two years
        if (not self.Portfolio.Invested and rates.TwoYear > rates.TenYear):
            self.Debug(f"{self.Time} - Yield curve inversion! Shorting the market for two years")
            self.SetHoldings(self.spy_symbol, -0.5)
            self.last_inversion = self.Time
            return
        
        # If two years have passed, liquidate our position in SPY
        if (self.Time - self.last_inversion >= timedelta(days=365 * 2)):
            self.Liquidate(self.spy_symbol)